A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
DOI10.3934/naco.2022033zbMath1518.49045arXiv2112.11059OpenAlexW4225710886MaRDI QIDQ6164094
Huyên Pham, Maximilien Germain, Xavier Warin
Publication date: 26 July 2023
Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2112.11059
Artificial neural networks and deep learning (68T07) Nonlinear parabolic equations (35K55) Dynamic programming (90C39) Optimal stochastic control (93E20) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55) Numerical methods in optimal control (49M99) Mean field games and control (49N80)
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